• UPDATE: OTC IRS New Release Advisory – Support for Flexible Fixing Date Offset (Lookback)

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 21-338 (Update to CH Advisory 21-330)
      • Notice Date
      • 22 September 2021
      • Effective Date
      • 22 September 2021

    • Please be advised that CME will not release support for flexible fixing date offset for overnight index swaps (OIS) in the New Release environment today as indicated in Advisory 21-330. A subsequent advisory will be published with the new release date. This interest rate swap convention is also known as a “Lookback”, where the rate for each business day in a calculation period is determined on the basis of the rate observed for a certain number of business days prior to such date. This enhancement allows the OIS floating coupon to be known ahead of the calculation period end date.

      For the full text of this advisory, please click here.

       

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